Local Volatility Pricing Models for Long-Dated FX Derivatives
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DOI: 10.1080/1350486X.2012.723516
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- Griselda Deelstra & Gr'egory Ray'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
References listed on IDEAS
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Citations
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Cited by:
- Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
- Orcan Ogetbil & Narayan Ganesan & Bernhard Hientzsch, 2020. "Calibrating Local Volatility Models with Stochastic Drift and Diffusion," Papers 2009.14764, arXiv.org, revised May 2023.
- Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
- Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2017.
"Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1257-1275, August.
- Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
- Julien Hok & Shih-Hau Tan, 2019. "Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 609-637, December.
- Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020.
"Smile Modeling In Commodity Markets,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(03), pages 1-28, May.
- Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2018. "Smile Modelling in Commodity Markets," Papers 1808.09685, arXiv.org, revised Jan 2020.
- Deelstra, Griselda & Rayée, Grégory, 2013.
"Pricing Variable Annuity Guarantees in a local volatility framework,"
Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 650-663.
- Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
- Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
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